The rule in plain words
Interest rate must equal these four added up:
- OTC options
- OTC other
- Organized market options
- Organized market other
EBA checks it for three columns: assets, liabilities and total hedging. That makes three checks. A failure names the one that failed.
How the Line4 Check report words itShowHide
The first of its checks, word for word as the report shows it when it fails. The others read the same, with their own column, row or sheet.
Assets: Interest rate = OTC options + OTC other + Organized market options + Organized market other
What to do if your filing fails it
- 01Open the template below and find the cells the rule reads.
- 02Add up the parts in your file and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark F 11.01 as reported.
- 06This is a warning. It does not stop the filing on its own, but your authority may ask you to explain it.
The cells it reads
Derivatives - hedge accounting: Breakdown by type of risk and type of hedge (F 11.01)
Rows
- 0010Interest rate
- 0020OTC options
- 0030OTC other
- 0040Organized market options
- 0050Organized market other
Columns
- 0010Assets
- 0020Liabilities
- 0030Total hedging
A worked example
The first of its checks, with simple numbers.
Interest rate must then be 2,750.
A file that reports 2,750 passes. One that reports 2,850 fails, by 100.
The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.
Show the rule as writtenShowHide
EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.
{F_11.01,r0010,c0010,} = {F_11.01,r0020,c0010,} + {F_11.01,r0030,c0010,} + {F_11.01,r0040,c0010,} + {F_11.01,r0050,c0010,}The next two:
{F_11.01,r0010,c0020,} = {F_11.01,r0020,c0020,} + {F_11.01,r0030,c0020,} + {F_11.01,r0040,c0020,} + {F_11.01,r0050,c0020,}{F_11.01,r0010,c0030,} = {F_11.01,r0020,c0030,} + {F_11.01,r0030,c0030,} + {F_11.01,r0040,c0030,} + {F_11.01,r0050,c0030,}Other rules on F 11.01
- Sold cannot be more than total hedging (v0857_m)Warning
- Equity must equal the sum of its four parts (row 0060, v0859_m)Warning
- Notional amount: foreign exchange must equal the sum of its four parts (v0860_m)Warning
- Interest rate must equal the sum of its four parts (row 0240, v0863_m)Blocking
- Equity must equal the sum of its four parts (row 0290, v0864_m)Blocking
- Carrying amount: foreign exchange must equal the sum of its four parts (v0865_m)Blocking
- Cash flow hedges must equal the sum of its six parts (v0867_m)Blocking
- The sum of three rows cannot be more than derivatives-hedge accounting (v0869_m)Blocking
Every FINREP 9 rule, by template
Checks like this one, run at the point of submission, are the first step to real-time supervision.